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I am building a study focusing on portfolio returns relative to a number of portfolios constructed using various ESG screening techniques. My intention is to measure and compare the performance of 'good' and 'bad' performing ESG portfolios over various periods of economic crisis, to observe if ESG strategies can legitimately act as a defensive strategy during crisis times.

To measure this performance I have debated using factor models (Carhart 4-factor) or risk-adjusted performance (RAP) measures, such as the Sharpe, Treynor, Sortino and Omega ratios. Am I correct in saying that factor models only account for systematic risk, and that RAP measures account for the portfolio's idiosyncratic risk, therefore giving me a more concise picture of how a portfolio actually performed relative to its risk profile? Thanks in advance for any guidance offered.

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